Ruin probability for the integrated Gaussian process with force of interest

被引：4

作者：

He, Xiaoxia ^{[1
]}

Hu, Yijun

机构：

[1] Wuhan Univ Sci & Technol, Coll Sci, Wuhan 430081, Peoples R China

[2] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China

来源：

JOURNAL OF APPLIED PROBABILITY | 2007年 / 44卷 / 03期

关键词：

integrated Gaussian process; ruin probability; Rice method; force of interest;

D O I：

10.1239/jap/1189717538

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we obtain the exact asymptotics of the ruin probability for the integrated Gaussian process with force of interest. The results obtained are consistent with those obtained for the case in which there is no force of interest.

引用

页码：685 / 694

页数：10

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